Interbank Market Interest Rate Risk Measure An Empirical Study Based on VaR Model

Yuanyuan Peng, Luoyuan Cheng, Yue Zhu

Abstract


In this paper, we use the VaR model to study the daily weighted average interest rate of the interbank market in China from January 4, 2013 to October 30, 2014, and establish the interest rate risk measure of China's interbank lending market based on GARCH model (GARCH (1,1) / TARCH (1,1) / EGARCH (1,1)), the following conclusions are drawn: t distribution is not suitable for describing the distribution of interbank lending rate series in China, the generalized error distribution Which can better describe the distribution of interbank lending rates in China. According to the sample data, the risk of interbank lending rates at the present stage is also low.


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References


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